Option Backtest

Description

Option Backtest is a Python-based application designed for backtesting simple trading strategies on options.

Features

• Backtesting of simple options trading strategies, including sinlge leg options, strangles and wheels
• Interactive web interface by streamlit

Installation

Prerequisites

• Python 3.11 or higher

Clone the Repository

git clone https://github.com/pythoninoffice/option_backtest.git
cd option_backtest

Set Up a Virtual Environment

python -m venv venv
source venv/bin/activate  # On Windows use `venv\Scripts\activate`

Install Dependencies

pip install -r requirements.txt

Download Data

Option chain data is required for backtesting. Below is the link to download SPY EOD option chain from 2019 to 2024. https://drive.google.com/file/d/1o_SGPxqcNz6PkPX34ZdJL3BYZfcjLY57/view?usp=drive_link

Usage

To run the application, first download the data, then update the DB_PATH variable in config.py with the path to the downloaded data file.

DB_PATH = r'path_to_data\spy_2019_2024.db'

execute the following command:

streamlit run app.py

The application will start.